Current models limited says Joint Forum report
A report by the Joint Forum – a group looking at issues common to the banking, insurance and securities exchange sectors - says risk aggregation models used by all three industries contain significant weaknesses
Current risk aggregation models (RAMs) are limited in scope and may result in firms wrongly assessing their risks, says a Joint Forum report published by the Bank of International Settlements on October 21.
Research for the report on Developments in Modelling Risk Aggregation covered banks and insurance firms across North America, Europe and the Pacific and was conducted by the Joint Forum. The forum consists of the Basel Committee on Banking Supervision, the International Organisation of
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